A nonparametric test for the stationary density
Ημερομηνία
1998Συγγραφέας
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer ProzesseNeumann, Michael H.
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Source
Discussion papers of interdisciplinary research project 373Volume
1998,58Google Scholar check
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that this statistic behaves asymptotically as in the case of independent observations. Accordingly, we propose an i.i.d.-type bootstrap to determine the critical value for the test. -- Bootstrap stationary density test weak dependence
Links
http://hdl.handle.net/10419/61276http://nbn-resolving.de/urn:nbn:de:kobv:11-10057128
http://edoc.hu-berlin.de/series/sfb-373-papers/1998-58/PDF/58.pdf